According to Winter is Coming, in addition to Northern Ireland, possible shooting locations could include Scotland and Morocco.

Of course, at this stage it's only a rumor. But Morocco would make sense for the Dany scenes.

Folks at Winter is Coming have a number of links for those of you who wish to learn a bit more about the whole thing. I have to agree with them on something, though. Being forced to work with remote shooting locations could make for an expensive pilot.

In any event, I have a feeling that we should get some sort of confirmation in the near future, what with everything hinting that they will start to shoot this fall. . .

Northern Ireland? I think it was the Republic of Ireland itself they're shooting in to take advantage of the ROI's tax breaks for productions. In Northern Ireland I believe they'd be under the same limitations as filming elsewhere in the UK.

Also, David Benioff has confirmed the Irish location thing, so that's official already. Morocco and Scotland are still just rumours at this time.